Tests of Independence in Parametric Models with Applications and Illustrations
نویسندگان
چکیده
منابع مشابه
Parametric and Non-Parametric Tests for Multivariate Independence in IC Models
The so-called independent component (IC) model states that the observed p-vector X is generated via X = ΛZ + μ, where μ is a pvector, Λ is an invertible matrix, and the centered random vector Z has independent marginals Zi. We consider the problem of testing, on the basis of n i.i.d. copies of X = (X,X), the null hypothesis under which the multivariate marginals X and X are independent. Under a...
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We introduce new estimates and tests of independence in copula models with unknown margins using φ-divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the parameter is an interior or a boundary value of the parameter space. Simulation results show that the choice of χ-divergence has good properties in terms of efficiency-...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 1993
ISSN: 0735-0015
DOI: 10.2307/1391305